I've been in, and still am in, the same boat. (I have panic disorder and agoraphobia as well.)
I know you say you're afraid of exposure therapy... and honestly, who wouldn't be? But I found over time you'll do something you never thought you could do. I mean, it might take months to years, but eventually you'll look back and go "Wow, I couldn't even step foot outside and now look at me, I'm eating at a restaurant!" and that is exposure, but while you're doing it, it won't feel like it?
Take for example today - There is a very big festival near my house, and that includes a few things I'm terrified of: Going outside, going outside and away from my home (my safe place) and a massive crowd. I ended up going and having a fairly good time! Three years ago I couldn't even step foot on my porch without being terrified.
Baby steps! I, of course, didn't just wake up one day and go from being afraid to stepping outside to going to this festival. I did little things. I had a "safe person" stand outside with me, then I stood outside myself. I walked to the edge of my sidewalk, I walked a little further, and eventually I walked a full block all alone! I still can't go out to places far away from my home without a safe person, but like I said, baby steps!
I still get depressed because you're right, who wouldn't be depressed over having agoraphobia and(or) panic disorder? It's a lot to deal with and at times it gets to the point where you're like "I can't do the things I'd like to do, what's the point?" or "I can do some of these things, but it's so hard! It's horrible that I have to prepare myself to go outside."
One of the best things I've heard about anxiety is:
Anxiety is your overestimation of the situation, and your underestimation of your ability to cope.
It's true what they say - Anxiety will go down, whether you leave the situation or stay in it. The only difference is that if you leave, you'll assume that it went down because you left and not because that's what anxiety does.
Also, thinking logically helps big time. If you're anxious about something, question why.
For example, I'm afraid of going outside in case I have a panic attack.
-> What's so bad about having a panic attack?
-> What's so bad about that?
It brings up scary thoughts - I'm worried I'll go insane.
-> Have you had a panic attack before?
-> Many times?
-> Have you ever gone insane?
-> Have you done anything horrible while having a panic attack?
-> People tend to do that, especially when they're scared.
With yours, you'd probably replace the going insane bit with fainting. Have you fainted during a panic attack before? Or an anxious moment? If you did, what happened? Was it as bad as you thought, and if it was, or even if it wasn't, did you live through it?
...You see? If you break it down and just keep breaking it down, it sheds a different light on situations, and tends to disprove a lot of worries.
Working out is a lovely idea. Also, perhaps finding a creative hobby (assuming you don't already have one) would be helpful. You could knit, or paint, or make clay sculptures... Anything really! Just something you could do when you're feeling low and just blah about the whole situation. Who knows, maybe you could even open a little shop on one of those craft websites where people sell the things they make :)
Good luck with CBT! I went to a group designed for panic disorder and agoraphobia and it helped big time! Just keep moving forward.